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Structural unemployment and the output gap in Germany : evidence from an SVAR analysis within a hysteresis framework
Fritsche, Ulrich; Logeay, Camille - 2002
The German unemployment rate shows strong signs if non-stationarity over the course of the previous decades. This is in … line with an insider-outsider model under full hysteresis. We applied a "theory-guided view" to the data using the … structural VAR model as developed by Balmaseda, Dolado and López-Salido (2000) allowing for full hysteresis on the labour market …
Persistent link: https://www.econbiz.de/10010260640
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The New Keynesian Model and the Long-Run Vertical Phillips Curve: Does It Hold for Germany?
Gottschalk, Jan; Fritsche, Ulrich - 2005
New-Keynesian macroeconomic models typically assume that any long-run trade-off between inflation and unemployment is … rate, unemployment and inflation in West Germany from the early 1960s up to 2004 using a multivariate cointegration … data a strong negative correlation between the trend components of inflation and unemployment. We show that this finding …
Persistent link: https://www.econbiz.de/10010260877
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Exchange rates, foreign currency exposure and sovereign risk
Bernoth, Kerstin; Herwartz, Helmut - 2019
We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) using data from 10/2004 through 12/2016. We apply a novel data based identification approach of the structural...
Persistent link: https://www.econbiz.de/10011985362
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The multifaceted impact of US trade policy on financial markets
Boer, Lukas; Menkhoff, Lukas; Rieth, Malte - 2022
We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively....
Persistent link: https://www.econbiz.de/10013208395
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Nonlinear intermediary pricing in the oil futures market
Bierbaumer, Daniel; Rieth, Malte; Velinov, Anton - 2018
We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in...
Persistent link: https://www.econbiz.de/10011794927
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Asymmetric monetary policy effects in Germany
Tober, Silke; Kuzin, Vladimir N. - 2004
In a small structural model we find asymmetries in the effects of monetary policy in Germany depending on whether the economy is in an upswing or a downswing. These two different regimes are also identified using a Markov-switching model and the Kalman filter. Our results indicate that the...
Persistent link: https://www.econbiz.de/10010274488
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Identifying uncertainty shocks using the price of gold
Piffer, Michele; Podstawski, Maximilian - 2016
We propose a new instrument to identify the impact of uncertainty shocks in a SVAR model with external instruments. We construct the instrument for uncertainty shocks by exploiting variations in the price of gold around selected events. The events capture periods of changes in uncertainty...
Persistent link: https://www.econbiz.de/10011438996
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Viral shocks to the world economy
Kholodilin, Konstantin A.; Rieth, Malte - 2020
We construct a news-based viral disease index and study the dynamic impact of epidemics on the world economy, using structural vector autoregressions. Epidemic shocks have persistently negative effects, both directly and indirectly, on affected countries and on world output. The shocks lead to a...
Persistent link: https://www.econbiz.de/10012226730
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No taxation without reallocation: The distributional effects of tax changes
Ettmeier, Stephanie - 2022
This paper investigates the dynamic effects of tax changes on the cross-sectional distribution of disposable income in the United States using a narrative identification approach. I distinguish between changes in personal and corporate income taxes and quantify the distributional effects on...
Persistent link: https://www.econbiz.de/10013441522
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Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Lütkepohl, Helmut; Woźniak, Tomasz - 2017
In order to identify structural shocks that affect economic variables, restrictions need to be imposed on the parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However, only over-identifying restrictions can be tested with...
Persistent link: https://www.econbiz.de/10011776508